| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5087399 | Journal of Asian Economics | 2012 | 13 Pages |
Abstract
⺠Evaluation of monetary policy measures on exchange rate level and volatility. ⺠Controls and policy dummies in an EGARCH model estimated with Indian data. ⺠US dollar movements strongly affect the Indian rupee (INR); the interest rate differential increases variance and depreciates the INR; News decreases volatility. ⺠Domestic policy variables affect both level and volatility, and persist at the monthly frequency, but sometimes work at cross-purposes. ⺠Communication channels have potential but are not being used effectively.
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Authors
Ashima Goyal, Sanchit Arora,